Fwd Ibor Rate
Fwd Ibor Rate is a direct subtype of Interest Rate
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TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE Fwd Ibor Rate
This type represents all the defining properties of a forward deposit rate apart from the numerical value of the forward rate.
Like any Quotable, an object of type Fwd Ibor Rate has an associated value at any given valuation time prior to its maturity.
That value is interpreted as the fair annualised interest rate of an underlying deposit (or loan), assumed to start on the maturity.
That forward starting underlying deposit is a transfer of funds that must be returned with interest after a time period, called tenor, that is defined within the type here.
As the valuation date changes, the overall structure of the underlying deposit stays fixed.
Note the forward ibor rate ceases to exist after its maturity date.
In other words, a value may be assigned to it only at dates prior or equal to its maturity date.